Democrats Chris Larson and Lena Taylor fled Wisconsin to prevent a vote on a measure introduced by Walker.
It would strip state workers of most of their collective bargaining rights.
The bill has prompted days of protests at the state capitol. Walker has defended his plan, saying it is needed to deal with the state's budget deficit.
On Saturday, the senators said while they're in Illinois, they stand with the people of Wisconsin.
"It's not where we are, it's what we're doing. We're demanding that the people of Wisconsin be heard. We're demanding that people have the right to petition their government. It's the constitution," Taylor said.
Walker has said there will be layoffs because the bill limiting collective bargaining rights has not passed.